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This is an archived track record. This track record was archived on 11/22/20 17:00 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

ProfitableAF
(123765889)

Created by: Danny Danny
Started: 05/2019
Stocks
Last trade: 1,222 days ago
Trading style: Equity Hedged Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-16.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(42.4%)
Max Drawdown
444
Num Trades
31.8%
Win Trades
0.8 : 1
Profit Factor
42.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            +2.5%+1.6%+3.8%+4.9%(4.4%)(0.2%)(4.5%)+2.0%+5.4%
2020+4.2%+2.5%+11.2%(4%)(4.3%)(6.4%)+16.1%(3.6%)(3.1%)(5.4%)(31.1%)(0.1%)(27.8%)
2021(3.7%)(0.2%)+1.0%(0.9%)  -  (2.9%)(1.8%)(2.9%)(12.8%)+4.5%+14.7%+3.2%(3.9%)
2022(3.6%)+2.3%(3.5%)(5.3%)(15.2%)+5.1%+13.0%(1.8%)+10.4%+1.2%+0.1%+2.1%+1.8%
2023(0.4%)(0.2%)  -  +0.5%+0.1%+0.2%  -  (0.1%)  -  +1.4%+0.7%  -  +2.3%
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 556 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1309 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/6/20 11:40 SA SEABRIDGE GOLD LONG 521 21.80 11/22 17:00 18.42 2.71%
Trade id #132119633
Max drawdown($2,052)
Time11/19/20 0:00
Quant open521
Worst price17.86
Drawdown as % of equity-2.71%
($1,766)
Includes Typical Broker Commissions trade costs of $5.00
11/6/20 11:37 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 2,075 16.04 11/22 17:00 21.11 15.79%
Trade id #132119538
Max drawdown($11,972)
Time11/19/20 0:00
Quant open2,075
Worst price21.81
Drawdown as % of equity-15.79%
($10,525)
Includes Typical Broker Commissions trade costs of $5.00
11/6/20 11:36 SLV ISHARES SILVER TRUST LONG 2,262 23.73 11/22 17:00 22.49 4.13%
Trade id #132119491
Max drawdown($4,094)
Time11/9/20 0:00
Quant open2,262
Worst price21.92
Drawdown as % of equity-4.13%
($2,810)
Includes Typical Broker Commissions trade costs of $5.00
11/6/20 11:35 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 3,023 8.92 11/22 17:00 11.61 12.91%
Trade id #132119459
Max drawdown($9,794)
Time11/19/20 0:00
Quant open3,023
Worst price12.16
Drawdown as % of equity-12.91%
($8,137)
Includes Typical Broker Commissions trade costs of $5.00
3/5/20 9:44 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X SHORT 322 55.08 11/5 9:30 20.57 n/a $11,107
Includes Typical Broker Commissions trade costs of $6.44
10/27/20 15:56 OXY OCCIDENTAL PETROLEUM SHORT 517 9.28 11/5 9:30 9.77 0.35%
Trade id #131928686
Max drawdown($377)
Time11/3/20 0:00
Quant open517
Worst price10.01
Drawdown as % of equity-0.35%
($258)
Includes Typical Broker Commissions trade costs of $5.00
10/29/20 11:35 USOI CREDIT SUISSE X-LINKS CRUDE OIL SHARES VERED CALL SHORT 4,386 3.94 11/5 9:30 4.32 1.65%
Trade id #131970604
Max drawdown($1,666)
Time11/5/20 9:30
Quant open4,386
Worst price4.32
Drawdown as % of equity-1.65%
($1,675)
Includes Typical Broker Commissions trade costs of $7.50
9/9/20 10:17 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 340 24.97 11/5 9:30 26.33 0.73%
Trade id #131086525
Max drawdown($841)
Time9/18/20 0:00
Quant open170
Worst price30.62
Drawdown as % of equity-0.73%
($469)
Includes Typical Broker Commissions trade costs of $6.80
10/29/20 11:28 GLD SPDR GOLD SHARES SHORT 273 175.57 11/5 9:30 181.00 1.49%
Trade id #131970385
Max drawdown($1,509)
Time11/5/20 9:30
Quant open273
Worst price181.10
Drawdown as % of equity-1.49%
($1,487)
Includes Typical Broker Commissions trade costs of $5.46
10/28/20 12:53 RUSL DIREXION DAILY RUSSIA BULL 2X SHORT 501 13.49 11/5 9:30 15.66 1.08%
Trade id #131949836
Max drawdown($1,129)
Time11/4/20 0:00
Quant open501
Worst price15.74
Drawdown as % of equity-1.08%
($1,092)
Includes Typical Broker Commissions trade costs of $5.00
10/28/20 10:15 WFC WELLS FARGO SHORT 390 21.02 11/5 9:30 21.89 0.58%
Trade id #131945124
Max drawdown($600)
Time11/4/20 0:00
Quant open390
Worst price22.56
Drawdown as % of equity-0.58%
($347)
Includes Typical Broker Commissions trade costs of $7.80
10/28/20 12:53 BRZU DIREXION DAILY BRAZIL BULL 2X SHORT 69 65.15 11/5 9:30 73.85 0.59%
Trade id #131949826
Max drawdown($600)
Time11/5/20 9:30
Quant open69
Worst price73.85
Drawdown as % of equity-0.59%
($601)
Includes Typical Broker Commissions trade costs of $1.38
10/6/20 9:30 SLV ISHARES SILVER TRUST SHORT 314 22.62 11/5 9:30 23.02 0.26%
Trade id #131538093
Max drawdown($285)
Time10/21/20 0:00
Quant open314
Worst price23.53
Drawdown as % of equity-0.26%
($132)
Includes Typical Broker Commissions trade costs of $6.28
10/28/20 13:07 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X SHARES SHORT 374 8.95 11/5 9:30 10.73 0.79%
Trade id #131950196
Max drawdown($826)
Time11/4/20 0:00
Quant open374
Worst price11.16
Drawdown as % of equity-0.79%
($673)
Includes Typical Broker Commissions trade costs of $7.48
11/2/20 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 1,068 34.50 11/5 9:30 37.15 2.81%
Trade id #132015185
Max drawdown($2,840)
Time11/5/20 9:30
Quant open1,068
Worst price37.16
Drawdown as % of equity-2.81%
($2,835)
Includes Typical Broker Commissions trade costs of $5.00
10/26/20 9:30 NCZ VIRTUS EQUITY & CONVERTIBLE LONG 4,335 4.23 10/29 9:30 4.05 0.79%
Trade id #131893086
Max drawdown($867)
Time10/29/20 9:30
Quant open4,335
Worst price4.03
Drawdown as % of equity-0.79%
($785)
Includes Typical Broker Commissions trade costs of $5.00
10/23/20 9:30 PGF INVESCO FINANCIAL PFD LONG 2,449 18.77 10/28 12:53 18.60 0.44%
Trade id #131863221
Max drawdown($489)
Time10/28/20 11:06
Quant open2,449
Worst price18.57
Drawdown as % of equity-0.44%
($421)
Includes Typical Broker Commissions trade costs of $5.00
10/5/20 9:30 PFF ISHARES S&P U.S. PREFERRED STO LONG 2,032 36.70 10/28 10:15 36.53 0.31%
Trade id #131514340
Max drawdown($346)
Time10/21/20 0:00
Quant open2,032
Worst price36.53
Drawdown as % of equity-0.31%
($354)
Includes Typical Broker Commissions trade costs of $7.50
10/12/20 9:30 NCMI NATIONAL CINEMEDIA SHORT 1,132 2.55 10/26 9:30 2.25 0.01%
Trade id #131641544
Max drawdown($11)
Time10/12/20 9:34
Quant open1,132
Worst price2.56
Drawdown as % of equity-0.01%
$335
Includes Typical Broker Commissions trade costs of $5.00
10/14/20 15:43 RDI READING INTERNATIONAL INC CLASS A SHORT 1,288 2.73 10/23 9:39 2.61 0.1%
Trade id #131701108
Max drawdown($115)
Time10/15/20 0:00
Quant open1,288
Worst price2.82
Drawdown as % of equity-0.10%
$154
Includes Typical Broker Commissions trade costs of $5.00
10/14/20 9:30 MCS MARCUS SHORT 422 7.07 10/23 9:30 8.19 0.45%
Trade id #131688455
Max drawdown($502)
Time10/23/20 9:30
Quant open422
Worst price8.26
Drawdown as % of equity-0.45%
($481)
Includes Typical Broker Commissions trade costs of $8.44
10/12/20 9:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 242 17.40 10/19 9:30 17.62 0.22%
Trade id #131641550
Max drawdown($244)
Time10/13/20 0:00
Quant open242
Worst price18.41
Drawdown as % of equity-0.22%
($58)
Includes Typical Broker Commissions trade costs of $4.84
10/8/20 9:36 SUP SUPERIOR INDUSTRIES SHORT 3,586 1.22 10/16 9:30 1.42 0.69%
Trade id #131588559
Max drawdown($765)
Time10/15/20 0:00
Quant open3,586
Worst price1.43
Drawdown as % of equity-0.69%
($717)
Includes Typical Broker Commissions trade costs of $5.00
10/6/20 9:30 AGG ISHARES CORE US AGGREGATE BOND SHORT 1,123 117.60 10/14 9:30 117.80 0.24%
Trade id #131538099
Max drawdown($269)
Time10/6/20 14:52
Quant open1,123
Worst price117.84
Drawdown as % of equity-0.24%
($228)
Includes Typical Broker Commissions trade costs of $7.50
9/18/20 9:52 COTY COTY INC SHORT 1,448 3.15 10/9 9:30 3.80 0.88%
Trade id #131241344
Max drawdown($984)
Time10/9/20 9:30
Quant open1,448
Worst price3.83
Drawdown as % of equity-0.88%
($946)
Includes Typical Broker Commissions trade costs of $5.00
9/10/20 10:32 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X SHARES SHORT 644 11.06 10/9 9:30 11.96 0.54%
Trade id #131108946
Max drawdown($602)
Time10/9/20 9:30
Quant open644
Worst price12.00
Drawdown as % of equity-0.54%
($585)
Includes Typical Broker Commissions trade costs of $8.94
9/22/20 14:07 SPR SPIRIT AEROSYSTEMS HLDNGS SHORT 216 19.06 10/9 9:30 19.99 0.32%
Trade id #131299582
Max drawdown($378)
Time9/28/20 0:00
Quant open216
Worst price20.81
Drawdown as % of equity-0.32%
($205)
Includes Typical Broker Commissions trade costs of $4.32
9/8/20 10:04 USO UNITED STATES OIL SHORT 393 26.48 10/7 9:30 28.16 1.01%
Trade id #131064658
Max drawdown($1,159)
Time9/18/20 0:00
Quant open393
Worst price29.43
Drawdown as % of equity-1.01%
($668)
Includes Typical Broker Commissions trade costs of $7.86
9/9/20 10:29 DPST DIREXION DAILY REGIONAL BANKS BULL 3X SHORT 196 50.21 10/5 9:30 50.97 0.32%
Trade id #131086853
Max drawdown($372)
Time9/14/20 0:00
Quant open98
Worst price56.61
Drawdown as % of equity-0.32%
($153)
Includes Typical Broker Commissions trade costs of $3.92
9/21/20 10:44 LYG LLOYDS BANKING GROUP PLC ADS SHORT 5,507 1.18 10/2 15:53 1.36 0.9%
Trade id #131271916
Max drawdown($1,046)
Time10/2/20 12:14
Quant open5,507
Worst price1.37
Drawdown as % of equity-0.90%
($996)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/22/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1764.38
  • Age
    59 months ago
  • What it trades
    Stocks
  • # Trades
    444
  • # Profitable
    141
  • % Profitable
    31.80%
  • Avg trade duration
    22.5 days
  • Max peak-to-valley drawdown
    42.36%
  • drawdown period
    Aug 07, 2020 - Nov 19, 2020
  • Annual Return (Compounded)
    -16.5%
  • Avg win
    $564.91
  • Avg loss
    $351.96
  • Model Account Values (Raw)
  • Cash
    $78,608
  • Margin Used
    $10,638
  • Buying Power
    $67,970
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.29
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    -0.208
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -48.46%
  • Correlation to SP500
    -0.04550
  • Return Percent SP500 (cumu) during strategy life
    83.75%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.5%
  • Slump
  • Current Slump as Pcnt Equity
    70.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.165%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.41%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    858
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    711
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $352
  • Avg Win
    $565
  • Sum Trade PL (losers)
    $106,644.000
  • Age
  • Num Months filled monthly returns table
    59
  • Win / Loss
  • Sum Trade PL (winners)
    $79,653.000
  • # Winners
    141
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    5607
  • Win / Loss
  • # Losers
    303
  • % Winners
    31.8%
  • Frequency
  • Avg Position Time (mins)
    32450.30
  • Avg Position Time (hrs)
    540.84
  • Avg Trade Length
    22.5 days
  • Last Trade Ago
    1214
  • Leverage
  • Daily leverage (average)
    3.82
  • Daily leverage (max)
    116.22
  • Regression
  • Alpha
    -0.02
  • Beta
    -0.04
  • Treynor Index
    0.44
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.05
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -3.426
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.504
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.193
  • Hold-and-Hope Ratio
    -0.322
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07757
  • SD
    0.22218
  • Sharpe ratio (Glass type estimate)
    0.34912
  • Sharpe ratio (Hedges UMVUE)
    0.33245
  • df
    16.00000
  • t
    0.41553
  • p
    0.44834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98317
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65719
  • Upside Potential Ratio
    2.92129
  • Upside part of mean
    0.34479
  • Downside part of mean
    -0.26722
  • Upside SD
    0.18174
  • Downside SD
    0.11803
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.08779
  • Mean of criterion
    0.07757
  • SD of predictor
    0.20376
  • SD of criterion
    0.22218
  • Covariance
    -0.01311
  • r
    -0.28963
  • b (slope, estimate of beta)
    -0.31581
  • a (intercept, estimate of alpha)
    0.10529
  • Mean Square Error
    0.04824
  • DF error
    15.00000
  • t(b)
    -1.17198
  • p(b)
    0.68178
  • t(a)
    0.56598
  • p(a)
    0.40827
  • Lowerbound of 95% confidence interval for beta
    -0.89017
  • Upperbound of 95% confidence interval for beta
    0.25855
  • Lowerbound of 95% confidence interval for alpha
    -0.29123
  • Upperbound of 95% confidence interval for alpha
    0.50181
  • Treynor index (mean / b)
    -0.24561
  • Jensen alpha (a)
    0.10529
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05499
  • SD
    0.21533
  • Sharpe ratio (Glass type estimate)
    0.25539
  • Sharpe ratio (Hedges UMVUE)
    0.24320
  • df
    16.00000
  • t
    0.30398
  • p
    0.46211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89205
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45339
  • Upside Potential Ratio
    2.71076
  • Upside part of mean
    0.32881
  • Downside part of mean
    -0.27381
  • Upside SD
    0.17082
  • Downside SD
    0.12130
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.06757
  • Mean of criterion
    0.05499
  • SD of predictor
    0.20603
  • SD of criterion
    0.21533
  • Covariance
    -0.01345
  • r
    -0.30314
  • b (slope, estimate of beta)
    -0.31684
  • a (intercept, estimate of alpha)
    0.07640
  • Mean Square Error
    0.04492
  • DF error
    15.00000
  • t(b)
    -1.23203
  • p(b)
    0.68999
  • t(a)
    0.42706
  • p(a)
    0.43036
  • Lowerbound of 95% confidence interval for beta
    -0.86498
  • Upperbound of 95% confidence interval for beta
    0.23130
  • Lowerbound of 95% confidence interval for alpha
    -0.30492
  • Upperbound of 95% confidence interval for alpha
    0.45773
  • Treynor index (mean / b)
    -0.17357
  • Jensen alpha (a)
    0.07640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09305
  • Expected Shortfall on VaR
    0.11607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05349
  • Expected Shortfall on VaR
    0.08355
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.92683
  • Quartile 1
    0.95583
  • Median
    0.99620
  • Quartile 3
    1.03891
  • Maximum
    1.16835
  • Mean of quarter 1
    0.94416
  • Mean of quarter 2
    0.98040
  • Mean of quarter 3
    1.03219
  • Mean of quarter 4
    1.09458
  • Inter Quartile Range
    0.08308
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.16835
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.84427
  • VaR(95%) (moments method)
    0.06343
  • Expected Shortfall (moments method)
    0.06670
  • Extreme Value Index (regression method)
    -0.19452
  • VaR(95%) (regression method)
    0.06865
  • Expected Shortfall (regression method)
    0.07871
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.09933
  • Quartile 1
    0.10462
  • Median
    0.10991
  • Quartile 3
    0.12284
  • Maximum
    0.13578
  • Mean of quarter 1
    0.09933
  • Mean of quarter 2
    0.10991
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13578
  • Inter Quartile Range
    0.01822
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08797
  • Compounded annual return (geometric extrapolation)
    0.08643
  • Calmar ratio (compounded annual return / max draw down)
    0.63660
  • Compounded annual return / average of 25% largest draw downs
    0.63660
  • Compounded annual return / Expected Shortfall lognormal
    0.74469
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17769
  • SD
    0.19006
  • Sharpe ratio (Glass type estimate)
    -0.93495
  • Sharpe ratio (Hedges UMVUE)
    -0.93313
  • df
    385.00000
  • t
    -1.13484
  • p
    0.87143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68172
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54922
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68296
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.23411
  • Upside Potential Ratio
    5.46604
  • Upside part of mean
    0.78702
  • Downside part of mean
    -0.96471
  • Upside SD
    0.12416
  • Downside SD
    0.14398
  • N nonnegative terms
    194.00000
  • N negative terms
    192.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    386.00000
  • Mean of predictor
    0.16461
  • Mean of criterion
    -0.17769
  • SD of predictor
    0.29381
  • SD of criterion
    0.19006
  • Covariance
    -0.00715
  • r
    -0.12801
  • b (slope, estimate of beta)
    -0.08281
  • a (intercept, estimate of alpha)
    -0.10700
  • Mean Square Error
    0.03562
  • DF error
    384.00000
  • t(b)
    -2.52939
  • p(b)
    0.99409
  • t(a)
    -1.05447
  • p(a)
    0.85384
  • Lowerbound of 95% confidence interval for beta
    -0.14718
  • Upperbound of 95% confidence interval for beta
    -0.01844
  • Lowerbound of 95% confidence interval for alpha
    -0.46997
  • Upperbound of 95% confidence interval for alpha
    0.14185
  • Treynor index (mean / b)
    2.14586
  • Jensen alpha (a)
    -0.16406
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.19580
  • SD
    0.19049
  • Sharpe ratio (Glass type estimate)
    -1.02791
  • Sharpe ratio (Hedges UMVUE)
    -1.02590
  • df
    385.00000
  • t
    -1.24766
  • p
    0.89354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64228
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59047
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.33069
  • Upside Potential Ratio
    5.29736
  • Upside part of mean
    0.77948
  • Downside part of mean
    -0.97528
  • Upside SD
    0.12119
  • Downside SD
    0.14714
  • N nonnegative terms
    194.00000
  • N negative terms
    192.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    386.00000
  • Mean of predictor
    0.12112
  • Mean of criterion
    -0.19580
  • SD of predictor
    0.29592
  • SD of criterion
    0.19049
  • Covariance
    -0.00729
  • r
    -0.12941
  • b (slope, estimate of beta)
    -0.08331
  • a (intercept, estimate of alpha)
    -0.18571
  • Mean Square Error
    0.03577
  • DF error
    384.00000
  • t(b)
    -2.55750
  • p(b)
    0.99454
  • t(a)
    -1.19147
  • p(a)
    0.88290
  • Lowerbound of 95% confidence interval for beta
    -0.14735
  • Upperbound of 95% confidence interval for beta
    -0.01926
  • Lowerbound of 95% confidence interval for alpha
    -0.49218
  • Upperbound of 95% confidence interval for alpha
    0.12075
  • Treynor index (mean / b)
    2.35040
  • Jensen alpha (a)
    -0.18571
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01990
  • Expected Shortfall on VaR
    0.02470
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00833
  • Expected Shortfall on VaR
    0.01749
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    386.00000
  • Minimum
    0.91659
  • Quartile 1
    0.99608
  • Median
    1.00012
  • Quartile 3
    1.00386
  • Maximum
    1.09290
  • Mean of quarter 1
    0.98716
  • Mean of quarter 2
    0.99839
  • Mean of quarter 3
    1.00181
  • Mean of quarter 4
    1.01038
  • Inter Quartile Range
    0.00778
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.05440
  • Mean of outliers low
    0.97054
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.02591
  • Mean of outliers high
    1.03403
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37037
  • VaR(95%) (moments method)
    0.01209
  • Expected Shortfall (moments method)
    0.02276
  • Extreme Value Index (regression method)
    0.32532
  • VaR(95%) (regression method)
    0.01041
  • Expected Shortfall (regression method)
    0.01805
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00152
  • Quartile 1
    0.00695
  • Median
    0.01308
  • Quartile 3
    0.03387
  • Maximum
    0.40394
  • Mean of quarter 1
    0.00422
  • Mean of quarter 2
    0.00949
  • Mean of quarter 3
    0.02442
  • Mean of quarter 4
    0.22273
  • Inter Quartile Range
    0.02692
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.22273
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.41935
  • VaR(95%) (moments method)
    0.11413
  • Expected Shortfall (moments method)
    0.11557
  • Extreme Value Index (regression method)
    0.23825
  • VaR(95%) (regression method)
    0.35385
  • Expected Shortfall (regression method)
    0.64835
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14874
  • Compounded annual return (geometric extrapolation)
    -0.15456
  • Calmar ratio (compounded annual return / max draw down)
    -0.38262
  • Compounded annual return / average of 25% largest draw downs
    -0.69391
  • Compounded annual return / Expected Shortfall lognormal
    -6.25684
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.80456
  • SD
    0.25316
  • Sharpe ratio (Glass type estimate)
    -3.17812
  • Sharpe ratio (Hedges UMVUE)
    -3.15975
  • df
    130.00000
  • t
    -2.24727
  • p
    0.59669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.97075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.37367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.95804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36146
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.64517
  • Upside Potential Ratio
    3.86487
  • Upside part of mean
    0.85306
  • Downside part of mean
    -1.65762
  • Upside SD
    0.13173
  • Downside SD
    0.22072
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36851
  • Mean of criterion
    -0.80456
  • SD of predictor
    0.20277
  • SD of criterion
    0.25316
  • Covariance
    -0.00648
  • r
    -0.12621
  • b (slope, estimate of beta)
    -0.15757
  • a (intercept, estimate of alpha)
    -0.74649
  • Mean Square Error
    0.06356
  • DF error
    129.00000
  • t(b)
    -1.44505
  • p(b)
    0.58013
  • t(a)
    -2.08061
  • p(a)
    0.61409
  • Lowerbound of 95% confidence interval for beta
    -0.37332
  • Upperbound of 95% confidence interval for beta
    0.05817
  • Lowerbound of 95% confidence interval for alpha
    -1.45636
  • Upperbound of 95% confidence interval for alpha
    -0.03663
  • Treynor index (mean / b)
    5.10598
  • Jensen alpha (a)
    -0.74649
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.83815
  • SD
    0.25663
  • Sharpe ratio (Glass type estimate)
    -3.26601
  • Sharpe ratio (Hedges UMVUE)
    -3.24713
  • df
    130.00000
  • t
    -2.30942
  • p
    0.59926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.06001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.45982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.04690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44736
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.70308
  • Upside Potential Ratio
    3.73099
  • Upside part of mean
    0.84447
  • Downside part of mean
    -1.68263
  • Upside SD
    0.12964
  • Downside SD
    0.22634
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34763
  • Mean of criterion
    -0.83815
  • SD of predictor
    0.20428
  • SD of criterion
    0.25663
  • Covariance
    -0.00655
  • r
    -0.12495
  • b (slope, estimate of beta)
    -0.15698
  • a (intercept, estimate of alpha)
    -0.78358
  • Mean Square Error
    0.06533
  • DF error
    129.00000
  • t(b)
    -1.43038
  • p(b)
    0.57934
  • t(a)
    -2.15575
  • p(a)
    0.61802
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.37411
  • Upperbound of 95% confidence interval for beta
    0.06015
  • Lowerbound of 95% confidence interval for alpha
    -1.50275
  • Upperbound of 95% confidence interval for alpha
    -0.06442
  • Treynor index (mean / b)
    5.33940
  • Jensen alpha (a)
    -0.78358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02885
  • Expected Shortfall on VaR
    0.03525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01554
  • Expected Shortfall on VaR
    0.03071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91659
  • Quartile 1
    0.99188
  • Median
    0.99909
  • Quartile 3
    1.00341
  • Maximum
    1.05134
  • Mean of quarter 1
    0.97863
  • Mean of quarter 2
    0.99656
  • Mean of quarter 3
    1.00088
  • Mean of quarter 4
    1.01219
  • Inter Quartile Range
    0.01153
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.95791
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03767
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35096
  • VaR(95%) (moments method)
    0.02203
  • Expected Shortfall (moments method)
    0.03930
  • Extreme Value Index (regression method)
    0.37951
  • VaR(95%) (regression method)
    0.01864
  • Expected Shortfall (regression method)
    0.03235
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00101
  • Quartile 1
    0.00223
  • Median
    0.00496
  • Quartile 3
    0.04951
  • Maximum
    0.40394
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00397
  • Mean of quarter 3
    0.01141
  • Mean of quarter 4
    0.24578
  • Inter Quartile Range
    0.04728
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.40394
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301254000
  • Max Equity Drawdown (num days)
    104
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.66621
  • Compounded annual return (geometric extrapolation)
    -0.55525
  • Calmar ratio (compounded annual return / max draw down)
    -1.37458
  • Compounded annual return / average of 25% largest draw downs
    -2.25915
  • Compounded annual return / Expected Shortfall lognormal
    -15.75230

Strategy Description

The system will short sell individual stocks that are in established downtrends and buy non-correlated assets, such as bonds or gold, that are in established uptrends.

The objective of the system is to hedge a long only portfolio. If the system is successful in meeting its objectives, it will perform well in bear markets and provide mediocre performance in bull markets.

Position sizing and risk management are based on my other system, "The Momentum of Now", which has a track record on Collective2 going back to the year 2012.

Summary Statistics

Strategy began
2019-05-22
Suggested Minimum Capital
$35,000
# Trades
444
# Profitable
141
% Profitable
31.8%
Net Dividends
Correlation S&P500
-0.045
Sharpe Ratio
-0.29
Sortino Ratio
-0.41
Beta
-0.04
Alpha
-0.02
Leverage
3.82 Average
116.22 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.